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~person:"Härdle, Wolfgang"
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Härdle, Wolfgang
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Sonderforschungsbereich 303 Information und die Koordination Wirtschaftlicher Aktivitäten, Rheinische Friedrich-Wilhelms-Universität Bonn
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1
CDO surfaces dynamics
Choros-Tomczyk, Barbara
;
Härdle, Wolfgang
;
Okhrin, Ostap
-
2013
Modelling the dynamics of
credit
derivatives is a challenging task in finance and economics. The recent crisis has …
Persistent link: https://www.econbiz.de/10009763975
Saved in:
2
CDO pricing with copulae
Choros, Barbara
;
Härdle, Wolfgang
;
Okhrin, Ostap
-
2009
Modeling the portfolio
credit
risk is one of the crucial issues of the last years in the financial problems. We propose …
Persistent link: https://www.econbiz.de/10003814501
Saved in:
3
Applied quantitative finance
Härdle, Wolfgang
(
ed.
);
Hautsch, Nikolaus
(
ed.
); …
-
2009
-
2. ed.
Persistent link: https://www.econbiz.de/10003719524
Saved in:
4
CDO and HAC
Choroś, Barbara
;
Härdle, Wolfgang
;
Okhrin, Ostap
-
2009
Modelling portfolio
credit
risk is one of the crucial challenges faced by financial services industry in the last few …
Persistent link: https://www.econbiz.de/10003871765
Saved in:
5
Valuation of collateralized debt obligations with hierarchical Archimedean copulae
Choroś-Tomczyk, Barbara
;
Härdle, Wolfgang
;
Okhrin, Ostap
- In:
Journal of empirical finance
24
(
2013
),
pp. 42-62
Persistent link: https://www.econbiz.de/10010371991
Saved in:
6
The integration of
credit
default swap markets in the pre and post-subprime crisis in common stochastic trends
Chen, Cathy Yi-hsuan
;
Härdle, Wolfgang
;
Thu, Hien Pham
-
2014
It was evident that
credit
default swap (CDS) spreads have been highly correlated during the recent financial crisis …
credit
ratings have integrated more in crisis. By applying the Panel Analysis of Non-stationarity in Idiosyncratic and Common … contributes to a
credit
risk management task and also coincides with the missions of Basel III since the more integrated CDS …
Persistent link: https://www.econbiz.de/10010399421
Saved in:
7
Localising forward intensities for multiperiod corporate default
Prastyo, Dedy Dwi
;
Härdle, Wolfgang
-
2014
Using a local adaptive Forward Intensities Approach (FIA) we investigate multiperiod corporate defaults and other delisting schemes. The proposed approach is fully datadriven and is based on local adaptive estimation and the selection of optimal estimation windows. Time-dependent model...
Persistent link: https://www.econbiz.de/10010403045
Saved in:
8
Estimation of default probabilities with Support Vector Machines
Chen, Shiyi
(
contributor
);
Härdle, Wolfgang
(
contributor
); …
-
2006
Predicting default probabilities is important for firms and banks to operate successfully and to estimate their specific risks. There are many reasons to use nonlinear techniques for predicting bankruptcy from financial ratios. Here we propose the so called Support Vector Machine (SVM) to...
Persistent link: https://www.econbiz.de/10003402291
Saved in:
9
Applied quantitative finance :
theory
and computational tools
Härdle, Wolfgang
;
Stahl, Gerhard
-
2002
Persistent link: https://www.econbiz.de/10001676122
Saved in:
10
Default risk calculation based on predictor selection for the Southeast Asian industry
Härdle, Wolfgang
;
Prastyo, Dedy Dwi
-
2013
default prediction provides a better insight into fundamentals of
credit
risk analysis. Default prediction and default …, and Thailand. The relevant default predictors over the countries reveal that
credit
risk analysis is sample specific. A …
Persistent link: https://www.econbiz.de/10009779289
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